python金融分析-计算对数收益率及其波动率并画图

计算对数收益率及其波动率并画图

 

# -*- coding: utf-8 -*-
"""
Created on Wed Aug 03 10:32:08 2016

@author: Administrator
"""
###可视化 计算对数收益率及其波动率并画图
import numpy as np
import pandas as pd

# 读取excel，返回excel对象
xlsx_file = pd.ExcelFile("D:\Python\pythonwork1\\testmatplotlib\w1\stockprice.xlsx")
# 读取DJIA表单的数据，返回dataFrame数据
djia=xlsx_file.parse('DJIA')
djia.tail()

# 计算对手收益率
djia['Log_Ret'] = np.log(djia['Close'] / djia['Close'].shift(1))
# 波动率 取每100个数计算标准查
djia['Volatility'] = djia['Log_Ret'].rolling(window=100,center=False).std()
# 画图
djia[['Close', 'Volatility']].plot(subplots=True, color='blue',
                                   figsize=(8, 6), grid=True);